My Dad used to tell us he'd sell us to the gypsies if we didn't behave. Once you get a bit older you realise he's bluffing (at least I hope he was).
This led to one hilarious incident when my Dad shouted at my 7 year old brother that he was "gonna get the gypsies and make them come get him." He picked up the phone and started dealing a number. My 7 year old brother smiled, knowing full well he wasn't really but my 4 year old brother burst into tears and ran to my Dad screaming "Nooooo, nooooo, don't sell Benny to the
yippies chippies!! Please! Don't do it!" bawling his eyes out.
Edit: Oh! It wasn’t ‘yippies’ it was ‘chippies’ my youngest brother called them. In the UK, that’s a slang word for a fish and chip shop, a takeaway place!